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EFMA 2002 London Meetings (Archive)

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Viewing: 1 - 50 of 178 papers

1.

Bank Runs, Welfare and Policy Implications

EFMA 2002 London Meeting, Forthcoming, BIS Working Paper No. 107
Number of pages: 35 Posted: 13 Dec 2005
Working Paper Series
Bank for International Settlements (BIS)
Downloads 211
2.

Valuing Companies by Cash Flow Discounting: Ten Methods and Nine Theories

EFMA 2002 London Meetings
Number of pages: 16 Posted: 14 May 2004 Last Revised: 28 May 2019
Accepted Paper Series
University of Navarra - IESE Business School
Downloads 36,656
3.

Option Pricing with Stochastic Volatility: A Closed-Form Solution Using the Fourier Transform

EFMA 2002 London Meetings
Number of pages: 52 Posted: 29 Jul 2002
Working Paper Series
National Center for Scientific Research (CNRS)
Downloads 1,735
4.

Optimal Interest Margin, Deposit Insurance Premium and Bank Size

EFMA 2002 London Meetings
Number of pages: 17 Posted: 25 Jun 2002
Working Paper Series
Bilkent University - Faculty of Business Administration
Downloads 459
5.

Circularity and the Undervaluation of Privatised Companies

EFMA 2002 London Meetings
Number of pages: 16 Posted: 25 Jun 2002
Working Paper Series
University of Bath - Centre for Governance, Regulation and Industrial Strategy; School of Management and University of Bristol - Leverhulme Centre for Market and Public Organisation (CMPO)
Downloads 160
6.

An Analytical Framework of Bank Merger and Reinvestment Decision Under Maximizing Equity Values

EFMA 2002 London Meetings
Number of pages: 29 Posted: 24 Jun 2002
Working Paper Series
Shih Chien University - Graduate Institute of Business Administration and Securities & Futures Institute
Downloads 408
7.

Dependence of the Intraday Nikkei Stock Index Futures

EFMA 2002 London Meetings
Number of pages: 31 Posted: 24 Jun 2002
Working Paper Series
University of Sheffield - School of Management
Downloads 457
8.

Friendly Takeovers in the UK: An Agency Analysis

EFMA 2002 London Meetings
Number of pages: 41 Posted: 24 Jun 2002
Working Paper Series
Robert Gordon University - Aberdeen Business School and Robert Gordon University - Centre for the Enhancement of Learning and Teaching (CELT)
Downloads 432
9.

Decision Rules for Allocating a Limiting Factor Across Products in a Stochastic Production Environment: A Real Options Approach

EFMA 2002 London Meetings
Number of pages: 19 Posted: 24 Jun 2002
Working Paper Series
University of Manchester Institute of Science and Technology (UMIST) and Athens Laboratory of Business Administration (ALBA)
Downloads 281
10.

Money Market Operations and Volatility of UK Money Market

EFMA 2002 London Meetings
Number of pages: 37 Posted: 24 Jun 2002
Working Paper Series
Bank of England
Downloads 168
11.

A Robust Estimation of the Relation between Stock Returns, Size, Dividend Yield and Payout Ratio

EFMA 2002 London Meetings
Number of pages: 24 Posted: 20 Jun 2002
Working Paper Series
University of Southampton - School of Management, Bangor Business School and University of Southampton - School of Management
Downloads 1,886
12.

Market Timing of International Stock Markets Using the Yield Spread

EFMA 2002 London Meetings
Number of pages: 36 Posted: 20 Jun 2002
Working Paper Series
Wake Forest University - Schools of Business, Wake Forest University - School of Business and University of Kentucky

Multiple version iconThere are 2 versions of this paper

Downloads 1,341
13.

The Relationship between Commodity Prices and the Australian Dollar

EFMA 2002 London Meetings
Number of pages: 20 Posted: 20 Jun 2002
Working Paper Series
Curtin University - Centre for Research in Applied Economics
Downloads 1,119
14.

Board Structure and Agency Costs

EFMA 2002 London Meetings, Cass Business School Research Paper
Number of pages: 47 Posted: 20 Jun 2002
Working Paper Series
Cass Business School, City, University of London
Downloads 1,099
15.

What the 'Indexes' Don't Tell You About Hedge Funds

EFMA 2002 London Meetings
Number of pages: 24 Posted: 20 Jun 2002
Working Paper Series
Russell Investments - Capital Markets Research and Frank Russell Company-Consulting
Downloads 998
16.

Pricing and Hedging Interest Rate Options: Evidence from Cap-Floor Markets

EFMA 2002 London Meetings
Number of pages: 46 Posted: 20 Jun 2002
Working Paper Series
Case Western Reserve University - Department of Banking & Finance and New York University (NYU) - Department of Finance
Downloads 925
17.

An Investigation of the Lead-Lag Relationship in Returns and Volatility between Cash and Stack Index Futures: The Case of Greece

EFMA 2002 London Meetings
Number of pages: 28 Posted: 20 Jun 2002
Working Paper Series
Independent, Athens Stock Exchange and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 769
18.

What Firm-Specific News Releases Drive Economically Significant Stock Returns and Trading Volumes?

EFMA 2002 London Meetings
Number of pages: 36 Posted: 20 Jun 2002
Working Paper Series
University of London - Faculty of Social Science and Public Policy and Manchester Business School
Downloads 729
19.

Does Time Variation in Systematic Risk Affect the Profitability of Contrarian Investment Strategies?

EFMA 2002 London Meetings
Number of pages: 34 Posted: 20 Jun 2002
Working Paper Series
Wealth Associates, Audencia Business School and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 630
20.

Credit Rationing, Customer Relationship and the Number of Banks: An Empirical Analysis

EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 48 Posted: 20 Jun 2002
Working Paper Series
University of Lille II - University of Lille LSMRC & ISA, Univ. Lille and University of Lille II - GERME Research Center

Multiple version iconThere are 2 versions of this paper

Downloads 575
21.

Managerial Equity Ownership and the Demand for Outside Directors

EFMA 2002 London Meetings
Number of pages: 33 Posted: 20 Jun 2002
Working Paper Series
Lancaster University - Department of Accounting and Finance, Bocconi University and Lancaster University - Department of Accounting and Finance
Downloads 562
22.

Strategic Capital Budgeting: Asset Replacement Under Market Uncertainty

EFMA 2002 London Meetings
Number of pages: 30 Posted: 20 Jun 2002
Working Paper Series
Lancaster University - Department of Accounting and Finance and Tilburg University - Department of Econometrics & Operations Research
Downloads 549
23.

Market Capitalization, Cross Correlations, the Lead/Lag Structure and Microstructure Effects in the Indian Stock Market

EFMA 2002 London Meetings
Number of pages: 24 Posted: 20 Jun 2002
Working Paper Series
Cranfield University - School of Management and University of Birmingham - Department of Accounting and Finance
Downloads 537
24.

The Under Investment and Over Investment Hypotheses: An Analysis Using Panel Data

EFMA 2002 London Meetings
Number of pages: 24 Posted: 20 Jun 2002
Working Paper Series
University of Salamanca - Administration and Business Economics and Instituto Politecnico de Coimbra (Portugal)
Downloads 522
25.

An Empirical Investigation of the Traditional and the Clean Surplus Valuation Models

EFMA 2002 London Meetings
Number of pages: 20 Posted: 20 Jun 2002
Working Paper Series
University of Piraeus - Department of Economics and Athens University of Economics and Business - Department of Business Administration
Downloads 457
26.

Testing for Feedback Trading in Index Futures: A Dynamic CAPM Approach

EFMA 2002 London Meetings
Number of pages: 21 Posted: 20 Jun 2002
Working Paper Series
Fairfield University - Charles F. Dolan School of Business
Downloads 454
27.

New Evidence on the Time-Varying Correlation between Consumption Growth and Stock Returns for the G7 Countries

FRB of New York Staff Report No. 181, EFMA 2002 London Meetings, EFA 2004 Maastricht Meetings Paper No. 5198
Number of pages: 34 Posted: 20 Jun 2002
Working Paper Series
affiliation not provided to SSRN and Federal Reserve Bank of New York
Downloads 431
28.

Determinants of Returns of Acquiring Firms Around Public Tender Offer Announcements: The Evidence Related to French Control-Oriented and Parent-Subsidiary Offers

EFMA 2002 London Meetings
Number of pages: 29 Posted: 20 Jun 2002
Working Paper Series
CFA Institute and University of Grenoble
Downloads 366
29.

Trading Activity and Intraday Returns in the Interest Rate Futures

EFMA 2002 London Meetings
Number of pages: 33 Posted: 20 Jun 2002
Working Paper Series
University of Massachusetts Dartmouth - Department of Accounting & Finance, Independent and University of Tennessee, Knoxville - College of Business Administration
Downloads 312
30.

Measuring Financial and Economic Integration with Equity Prices in Emerging Markets

EFMA 2002 London Meetings, Cass Business School Research Paper
Number of pages: 53 Posted: 20 Jun 2002
Working Paper Series
City University London and City University London - Sir John Cass Business School
Downloads 278
31.

Modeling Common Volatility and Dynamic Risk Premia in European Equity Markets

EFMA 2002 London Meetings
Number of pages: 19 Posted: 20 Jun 2002
Working Paper Series
Fairfield University - Charles F. Dolan School of Business, Hanken School of Economics / Department of Finance and Statistics and University of Tennessee, Knoxville - College of Business Administration
Downloads 269
32.
Downloads 266
33.

The Supply of Trade Credits: Evidence from the UK

EFMA 2002 London Meetings
Number of pages: 24 Posted: 20 Jun 2002
Working Paper Series
Concordia University, Quebec - Department of Finance and affiliation not provided to SSRN
Downloads 253
34.

Measuring Value at Risk of Portfolios Under the Edgeworth-Sargan Distribution

EFMA 2002 London Meetings
Number of pages: 25 Posted: 20 Jun 2002
Working Paper Series
Universidad Rey Juan Carlos - Department Economia and University of Salamanca
Downloads 248
35.

Selecting Australian Equity Superannuation Funds: A Retail Investor's Perspective

EFMA 2002 London Meetings
Number of pages: 32 Posted: 20 Jun 2002
Working Paper Series
Griffith University, University of Queensland - School of Economics and T.A. PAI Management Institute, Finance Area
Downloads 184
36.

Arch in the G7 Equity Markets: A Speculative Explanation

EFMA 2002 London Meetings
Number of pages: 15 Posted: 20 Jun 2002
Working Paper Series
University of Michigan at Dearborn - Department of Accounting and Finance
Downloads 161
37.

The Fama-Macbeth Methodology Versus the Non-Linear Unrelated Regression and Different Portfolio Formation Criteria

EFMA 2002 London Meetings, Cass Business School Research Paper
Number of pages: 41 Posted: 19 Jun 2002
Working Paper Series
Duke Energy International and City University London - Cass Business School
Downloads 997
38.

Evaluating Consumer Loans Using Neural Networks

EFMA 2002 London Meetings
Number of pages: 39 Posted: 19 Jun 2002
Working Paper Series
Thomas Jefferson University and Saint Joseph's University
Downloads 874
39.

Market Anomalies in the A.S.E: The Day of the Week Effect

EFMA 2002 London Meetings
Number of pages: 19 Posted: 19 Jun 2002
Working Paper Series
University of Macedonia - Accounting and Finance, University of Macedonia and University of Macedonia
Downloads 809
40.

Assessment and Analysis of Credit Risk with Using of Logical and Probabilistic Model

EFMA 2002 London Meetings
Number of pages: 15 Posted: 19 Jun 2002
Working Paper Series
Russian Academy of Sciences (RAS) - Institute of Problems of Mechanical Engineering, Russian Academy of Sciences (RAS) - Institute of Problems of Mechanical Engineering and Russian Academy of Sciences (RAS) - Intelligent Integrated Systems Laboratory
Downloads 766
41.

Framework for Venture Capital in the Accession Countries to the European Union

EFMA 2002 London Meetings
Number of pages: 39 Posted: 19 Jun 2002
Working Paper Series
Cap Gemini Ernst & Young Consulting and affiliation not provided to SSRN
Downloads 703
42.

Risk Management Disclosure Practices of UK Non-Financial Firms after Frs 13

EFMA 2002 London Meetings
Number of pages: 30 Posted: 19 Jun 2002
Working Paper Series
Middlesex University - Business School and Middlesex University Business School

Multiple version iconThere are 2 versions of this paper

Downloads 659
43.

Discrete Wavelet Transform and Long Memory in Stock Market Prices

EFMA 2002 London Meetings
Number of pages: 44 Posted: 19 Jun 2002
Working Paper Series
Myongji University and Myongji University
Downloads 615
44.

Valuing Corporate Liabilities When the Default Threshold is Not an Absorbing Barrier

EFMA 2002 London Meetings
Number of pages: 23 Posted: 19 Jun 2002
Working Paper Series
Université de Rennes I and CREM
Downloads 521
45.

An Analysis of the Market Reward and Torpedo Effect of Firms that Consistently Meet Expectations

EFMA 2002 London Meetings
Number of pages: 42 Posted: 19 Jun 2002
Working Paper Series
George Washington University
Downloads 427
46.

An Analysis of Private Loan Guarantee Portfolios

EFMA 2002 London Meetings , Journal of Fixed Income, Vol. 16, No. 1, 2006, pp. 55-64
Number of pages: 35 Posted: 19 Jun 2002 Last Revised: 15 May 2015
Accepted Paper Series
Université Laval - Département de Finance et Assurance, Université Laval and Laval University
Downloads 415
47.

Stock Prices Response to Real Economic Variables: The Case of Germany

EFMA 2002 London Meetings
Number of pages: 6 Posted: 19 Jun 2002
Working Paper Series
University of Piraeus
Downloads 397
48.

The Impact of Screen Trading on the Link between Stock Index and Stock Index Futures Prices: Evidence from UK Markets

EFMA 2002 London Meetings
Number of pages: 27 Posted: 19 Jun 2002
Working Paper Series
The University of Sydney - Discipline of Finance and The University of Sydney - Discipline of Finance
Downloads 355
49.

Economics of Scale in the Retail Superannuation Funds in Australia

EFMA 2002 London Meetings
Number of pages: 19 Posted: 19 Jun 2002
Working Paper Series
Thomas Jefferson University, RMIT University and Monash University - Department of Accounting
Downloads 328
50.

Does Frequent Trading Always Improve Liquidity?

EFMA 2002 London Meetings
Number of pages: 26 Posted: 19 Jun 2002
Working Paper Series
Nanyang Technological University (NTU) - Nanyang Business School, Regional Engineering College, India and Nanyang Business School
Downloads 326